A. Doruk Gunaydin

Sabanci University

Assistant Professor of Finance

School of Management

Orhanli Tuzla

İstanbul, 34956

Turkey

  • Sabanci University

SCHOLARLY PAPERS

10

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SSRN CITATIONS
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SSRN RANKINGS

Top 38,207

in Total Papers Citations

18

CROSSREF CITATIONS

1

Scholarly Papers (10)

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1.

Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns

Journal of Financial Economics (JFE), Vol. 135, No. 3, 2020
Number of pages: 85 Posted: 16 Nov 2017 Last Revised: 03 Mar 2020
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 4,285 (2,418)
Citation 9

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left-tail risk, momentum, equity returns, retail investors, costly arbitrage, investor inattention

2.

Predicting Equity Returns in Emerging Markets

Number of pages: 50 Posted: 04 Aug 2018 Last Revised: 01 Sep 2020
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 474 (68,941)

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tail risk, momentum, anomalies, cross-section of equity returns, emerging markets

3.

Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households

Georgetown McDonough School of Business Research Paper No. 3664501
Number of pages: 81 Posted: 12 Aug 2020 Last Revised: 10 Dec 2020
Turan G. Bali, A. Doruk Gunaydin, Thomas Jansson and Yigitcan Karabulut
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University, Sveriges Riksbank - Research Division and Frankfurt School of Finance & Management
Downloads 222 (158,126)

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low risk anomalies, individual investors, market beta, idiosyncratic volatility, lottery stocks, cross-sectional return predictability

4.

Liquidity and Equity Returns in Borsa Istanbul

Applied Economics, Vol. 48, No. 52, 2016
Number of pages: 32 Posted: 14 May 2015 Last Revised: 19 Sep 2016
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 202 (173,744)
Citation 2

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liquidity, emerging markets, equity returns, asset pricing

5.

Downside Beta and the Cross-Section of Equity Returns: A Decade Later

Downloads 141 (235,382)
Citation 2

Downside Beta and the Cross-Section of Equity Returns: A Decade Later

European Financial Management, Vol. 26, No. 2, 2020
Number of pages: 37 Posted: 20 Sep 2017 Last Revised: 03 Mar 2020
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 140 (237,400)
Citation 2

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Downside Beta, Downside Risk, Tail Risk, Equity Returns, Asset Pricing

Downside Beta and the Cross Section of Equity Returns: A Decade Later

European Financial Management, Vol. 26, Issue 2, pp. 316-347, 2020
Number of pages: 32 Posted: 19 May 2020
Yigit Atilgan, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Sabanci University Graduate School of Management and Sabanci University
Downloads 1 (771,483)
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asset pricing, downside beta, downside risk, equity returns, tail risk

6.

Global Downside Risk and Equity Returns

Journal of International Money and Finance, Vol. 98, 2019, Georgetown McDonough School of Business Research Paper No. 3422621
Number of pages: 58 Posted: 19 Jul 2019
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 122 (263,324)
Citation 1

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downside risk, tail risk, left-tail momentum, equity returns, international finance

7.

Decomposing Value Globally

Applied Economics, Vol. 52, No. 42, 2020
Number of pages: 41 Posted: 26 Jun 2019 Last Revised: 02 Oct 2020
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 87 (332,944)
Citation 1

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value premium, decomposing value, size effect, cross-section of equity returns, international finance

8.

Price Discovery in Emerging Market ETFs

Number of pages: 26 Posted: 20 Oct 2020
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and MUSTAFA OZTEKIN
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and affiliation not provided to SSRN
Downloads 56 (419,680)

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exchange traded funds, equity markets, price discovery, information efficiency

9.

Average Skewness in Global Equity Markets

Number of pages: 41 Posted: 20 Oct 2020
Yigit Atilgan, K. Ozgur Demirtas, A. Doruk Gunaydin and Imra KIRLI
Sabanci University, Sabanci University Graduate School of Management, Sabanci University and Sabanci University - School of Management
Downloads 35 (505,417)

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equity returns, average skewness, market skewness, volatility, time-series predictability, international finance

10.

Downside Beta and Equity Returns around the World

The Journal of Portfolio Management, Vol. 44, No. 7, https://doi.org/10.3905/jpm.2018.1.080
Posted: 23 Jun 2016 Last Revised: 10 Jul 2019
Yigit Atilgan, Turan G. Bali, K. Ozgur Demirtas and A. Doruk Gunaydin
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 0 (754,160)

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Downside Risk, Downside Beta, Equity Returns, Asset Pricing, International Finance